Quality stocks have slightly outperformed the market over the 40 years to 2009, per GMO's Exhibit 2.

Judged as of October 2009. True: GMO's Exhibit 2 in the October 2009 letter shows quality stocks outperforming the market by a small margin (roughly 0 to 1.5 points a year) over about 40 years to 2009, and independent quality-factor data for the same period do not contradict this. Mostly true: the exhibit shows outperformance over about 40 years, but the margin or period differs slightly from 'slightly' or '40 years'. Mixed: the exhibit shows it but independent data for the period show roughly equal performance. Mostly false: quality outperformed only over part of the period, or the outperformance was large rather than slight. False: the exhibit or the data show quality underperformed the market over the period.

Set before the research began.

1. E1 Grantham: Deflation's Coming, Hide in Quality Stocks and Avoid Bonds CBS News · 21 July 2010

   “Between their low valuations and superior prospects, Grantham says, the high-quality components of the Standard & Poor's 500-stock index should outperform the rest of the index by 6.2 percentage points a year.”

2. E2 Three strategies you can lean on: Grantham - Investment Magazine Investment Magazine · 15 June 2010

   “Grantham said US high quality stocks were currently "as cheap as they've ever been" and that emerging market equities should absorb much of an investor's risk budget.”

3. E3 Quarterly Letter GMO (as reproduced on Scribd) · October 2009 Own record

   “Exhibit 2 The One Free Lunch 60% Quality Stocks (Quality Equity / S&P 500) 50% 40% Relative Return of”

4. E4 (none) AQR

   “UEsDBC0AAAAIAHQuVF1usBrG//////////8LABQAX3JlbHMvLnJlbHMBABAA6wIAAAAAAAD2AAAAAAAAAK2Su27DMAxF936FwD2mkwJFUETJ0iVbUeQHVIl+wLYoSHTr/H2VLmmKvIaMki4PDwmtNtPQqy+KqWWvYV6UoMhbdq2vNYxSzZagkhjvTM+eNOwpgdqsn1Yf1BvJRalpQ1KZ4pOGRiS8Iibb0GBSwYF8fqk4DkbyMdYYjO1MTbgoyxeMfxnwD6q2TkPcumdQu32ge+BcVa2lN7bjQF7O9ECahLwjNwsx10dpD+PsTKxJNKBj+57vE5oQiswGhRekFvdLXZ4YBxLjjBi0HOmG0iFy3Wn+yEWdJo5CU4/fHLtP5u66zfKRNnZMwsOtDf2GjlZ48kXXP1BLAwQtAAAACAB0LlRdBJC4jP//”

5. E5 Quality Control CFA Institute · 1 March 2014

   “the cumulative excess returns from a quality-only investment strategy soared to 24%, compared with only 2.1% over the original 38-year period.”

6. E6 Quality Control CFA Institute · 1 March 2014

   “The returns of the QMJ (quality minus junk) factor strategy were positive and significantly different from zero for both the US sample and the international sample.”

E5 reproduces the October 2009 GMO letter and shows only Exhibit 2's title ('The One Free Lunch') and axis label (quality equity relative to the S&P 500). It gives no plotted figures and no period, so the size and span of any outperformance cannot be checked. E8 mentions 2.1% cumulative excess return over 'the original 38-year period' and E9 reports positive QMJ returns, but neither quote names the dates or ties its figures to the period to 2009. E2 and E3 are later forecasts and valuation comments, not historical performance data, so the evidence does not settle the claim.